From what i can tell, you are trying to connect to the internet on your linux machine through your windoze machine. In this case your default gateway needs to be set to the "router" in this case it seems to be our windoze machine (
Now, XP SP2 by default drops incoming ICMP traffic. Some linux distros also drop incoming ICMP. Now, if pinging doesn't work, can they transfer data in any other form? If yes, then it is a problem with firewalls dropping packets, if no, its more likely a wiring/setup issue.
You will also want to make sure that IP forwarding is enabled on your windoze machine if you are routing it to your WAN connection. I haven't experimented too much with this, but I believe

#WARNING---Speculation from here on#

You can set up a bridge connection from your WAN connection to your LAN interface. I believe this creates a logical interface which is the gateway for your local network. I'm not 100% on that, so i count on others to correct me on that. I hope this helps to some degree.